PFE Options History — August 2012

In August 2012, PFE traded between $22.48 and $23.04. ATM implied volatility averaged 15.2%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.6% (HV 20d: 14.6%). Max pain ranged from $21.82 to $22.77. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.67.

Notable Days

2012-08-07: Highest Volume — 154,368 contracts
2012-08-06: Largest IV spike — 20.7% change
2012-08-01: Highest IV Rank — 23.8%
2012-08-01: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.68	$22.48	$23.04	$22.71	$22.64
Max Pain	$21.90	$21.82	$22.77	$22.77	$21.82
ATM IV	15.2%	13.0%	22.3%	22.3%	13.2%
Expected Move	4.2%	3.7%	5.4%	5.4%	4.2%
HV 20d	14.6%	12.1%	16.7%	14.9%	12.1%
HV 60d	13.6%	13.2%	14.0%	13.4%	13.2%
IV Rank	10.3%	5.3%	23.8%	23.8%	5.9%
IV Percentile	15.7%	4.0%	59.1%	59.1%	6.0%
Term Structure	0.9%	-1.3%	1.9%	-1.3%	1.6%
VWIV	15.2%	13.5%	20.3%	20.3%	15.0%
Skew 25d	1.9%	1.3%	2.6%	2.6%	2.2%
Skew 10d	5.1%	2.6%	7.5%	7.5%	5.3%
Call IV 25d	14.6%	13.0%	18.8%	18.8%	14.5%
Put IV 25d	16.5%	14.8%	21.4%	21.4%	16.7%
Bid-Ask Spread %	4.03	2.03	12.62	5.84	12.62
Gamma HHI	0.26	0.22	0.39	0.26	0.23
Net GEX	63.1M	52.5M	97.5M	65.7M	52.9M
Net DEX	-971.1M	-1.24B	-830.5M	-1.10B	-899.2M
Net VEX	-6.2M	-6.7M	-6.0M	-6.7M	-6.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.03	1.90	0.49	1.23
Total Volume	51,429.217	12,205	154,368	78,156	25,967
Total OI	1,915,834.217	1,818,329	1,977,306	1,977,306	1,911,613

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-08-01	$22.71	$22.77	22.3%	5.4%	14.9%	23.8%	20.3%	2.6%	-1.3%	65.7M	-1.10B	-6.7M	0.49	5.84	52,572	25,584	1,107,280	870,026
2012-08-02	$22.69	$22.77	18.5%	5.2%	14.4%	15.7%	19.4%	1.8%	-0.6%	61.6M	-1.03B	-6.6M	0.24	3.07	35,596	8,483	1,072,432	857,906
2012-08-03	$23.04	$21.82	17.2%	4.8%	14.6%	12.9%	16.2%	2.6%	-0.4%	69.0M	-1.24B	-6.2M	0.42	3.47	34,407	14,598	1,079,518	860,222
2012-08-06	$23.02	$21.82	20.8%	4.7%	14.7%	20.6%	16.6%	2.1%	-0.1%	71.8M	-1.21B	-6.1M	0.75	2.03	27,334	20,384	1,074,749	850,890
2012-08-07	$22.52	$21.82	17.2%	4.0%	16.7%	12.9%	14.4%	1.9%	0.9%	69.7M	-951.2M	-6.1M	0.34	2.90	114,990	39,378	1,079,459	859,516
2012-08-08	$22.61	$21.82	14.9%	4.3%	16.4%	10.6%	15.6%	1.7%	0.4%	65.9M	-959.9M	-6.3M	0.41	2.45	58,669	23,947	1,077,893	882,065
2012-08-09	$22.65	$21.82	14.6%	4.3%	15.9%	9.8%	15.2%	1.6%	0.5%	66.9M	-978.5M	-6.2M	0.51	2.31	16,313	8,309	1,071,223	889,836
2012-08-10	$22.71	$21.82	13.7%	4.2%	15.8%	7.3%	14.8%	1.8%	0.7%	67.7M	-953.8M	-6.5M	1.90	3.01	5,548	10,524	1,078,465	893,300
2012-08-13	$22.50	$21.82	15.8%	4.1%	15.7%	13.3%	15.2%	1.6%	0.8%	65.3M	-878.4M	-6.1M	0.29	2.70	40,146	11,558	1,070,792	892,875
2012-08-14	$22.75	$21.82	14.7%	4.1%	14.4%	10.2%	14.7%	1.3%	0.8%	75.5M	-1.00B	-6.2M	0.62	3.03	15,172	9,482	1,047,825	898,661
2012-08-15	$22.81	$21.82	14.5%	4.0%	14.4%	9.7%	13.8%	1.5%	1.0%	80.0M	-1.08B	-6.0M	0.03	6.10	116,891	3,775	1,048,563	903,187
2012-08-16	$22.79	$21.82	14.0%	4.0%	14.3%	8.2%	14.7%	1.7%	1.3%	97.5M	-1.06B	-6.1M	0.95	4.96	29,453	28,100	1,060,346	899,087
2012-08-17	$22.57	$21.82	13.0%	3.7%	14.7%	5.3%	13.5%	1.9%	1.9%	55.8M	-830.5M	-6.3M	0.41	4.72	41,884	17,009	1,055,286	918,346
2012-08-20	$22.69	$21.82	13.5%	3.9%	14.7%	6.8%	13.6%	1.3%	1.5%	55.5M	-969.8M	-6.0M	1.40	5.87	19,443	27,145	978,366	839,963
2012-08-21	$22.48	$21.82	13.1%	3.8%	14.6%	5.7%	13.6%	1.5%	1.5%	53.8M	-855.7M	-6.0M	0.72	3.28	35,051	25,210	989,170	847,050
2012-08-22	$22.49	$21.82	13.1%	3.7%	14.6%	5.5%	14.0%	1.8%	1.7%	53.6M	-858.1M	-6.3M	1.30	3.68	12,041	15,690	1,004,432	856,746
2012-08-23	$22.52	$21.82	13.5%	3.9%	14.4%	6.8%	14.1%	1.6%	1.7%	52.5M	-866.2M	-6.3M	0.24	3.66	61,222	14,690	1,006,905	862,777
2012-08-24	$22.78	$21.82	14.1%	4.1%	14.1%	8.7%	14.7%	2.6%	1.2%	55.1M	-984.2M	-6.0M	0.86	4.33	21,783	18,732	987,350	872,534
2012-08-27	$22.67	$21.82	14.1%	4.0%	14.1%	8.6%	15.0%	2.3%	1.2%	53.2M	-915.4M	-6.1M	0.68	3.02	7,270	4,935	986,804	879,093
2012-08-28	$22.63	$21.82	14.2%	4.1%	13.2%	8.9%	15.1%	1.9%	1.5%	53.5M	-895.7M	-6.1M	0.78	2.74	12,493	9,783	991,100	879,724
2012-08-29	$22.73	$21.82	14.4%	4.1%	13.2%	9.5%	14.9%	1.8%	1.4%	55.2M	-950.1M	-6.1M	0.46	2.94	10,857	5,030	998,132	884,551
2012-08-30	$22.62	$21.82	15.0%	4.3%	13.3%	11.2%	15.7%	2.0%	1.3%	52.6M	-870.2M	-6.3M	0.43	3.87	31,856	13,568	1,000,890	887,239
2012-08-31	$22.64	$21.82	13.2%	4.2%	12.1%	5.9%	15.0%	2.2%	1.6%	52.9M	-899.2M	-6.3M	1.23	12.62	11,656	14,311	1,017,185	894,428